Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0258
Annualized Std Dev 0.1823
Annualized Sharpe (Rf=0%) -0.1415

Row

Daily Return Statistics

Close
Observations 4484.0000
NAs 1.0000
Minimum -0.2126
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0038
Maximum 0.2250
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0115
Skewness -0.7002
Kurtosis 81.9947

Downside Risk

Close
Semi Deviation 0.0085
Gain Deviation 0.0091
Loss Deviation 0.0107
Downside Deviation (MAR=210%) 0.0130
Downside Deviation (Rf=0%) 0.0085
Downside Deviation (0%) 0.0085
Maximum Drawdown 0.6045
Historical VaR (95%) -0.0133
Historical ES (95%) -0.0264
Modified VaR (95%) -0.0021
Modified ES (95%) -0.0021
From Trough To Depth Length To Trough Recovery
2003-06-06 2020-03-18 NA -0.6045 4479 4225 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA 0.1 0.1 -2.2 -0.9 0.4 0.4 -0.3 -0.2 -2.5
2004 0.4 -0.6 0.9 1.5 0.3 0.2 0.3 0.4 -0.4 0.4 0.7 -0.1 4.1
2005 0.5 0.2 -0.6 0.4 0.8 0.1 -0.1 0.5 -0.1 -0.2 0.2 0.1 1.9
2006 0.3 0.2 -0.6 0.3 -0.5 -0.2 0.3 -0.2 -0.3 -0.2 0.3 -0.3 -0.9
2007 0.5 -0.3 -0.4 -0.1 -0.4 -0.2 -0.5 2.6 0.2 0.3 2.4 0.3 4.3
2008 0.4 -1 1.2 0.7 -1 -0.2 2 0.1 3.9 -0.2 -5.9 1.4 1.2
2009 -0.9 -2.1 1.5 2.6 0.9 1.2 0.4 0.1 -0.6 -2.5 0.6 -1.2 -0.2
2010 2.2 1.2 0.2 0.3 0.8 0 0.1 -0.4 0.4 -0.7 0.5 0.6 5.5
2011 0.3 0.3 0.5 -0.4 -0.3 1.6 1.4 0.1 -1.5 -1.4 -0.2 -0.2 0
2012 0.1 0.1 -0.6 0 -0.1 -0.3 0.1 0.4 0.6 1.1 0.3 1 2.7
2013 0.6 0.2 0.5 -0.2 -1.6 -0.4 -0.2 0.9 -1 0 0 0.3 -0.8
2014 -0.1 0.4 0.1 -0.5 0.3 0 -0.2 0.3 0 0.6 -1.2 1.7 1.3
2015 -0.4 0.6 -0.1 0.8 0.4 1.8 0.6 1 -0.6 0.7 0.6 1.5 6.9
2016 0.4 0.6 0.2 0.9 0.6 -0.1 -0.4 -0.7 0.8 -0.2 -0.8 0.4 1.8
2017 -0.1 0.4 -0.1 -0.6 0.3 1.6 0.1 0.2 0 0.6 0.7 0.4 3.5
2018 0.3 0.2 0.2 0.2 0.3 0.1 0.2 -0.4 0.2 0.7 0.2 -0.1 2
2019 0.8 -0.1 -0.5 0.5 -0.2 -0.3 0.6 -0.2 0.1 0.2 0.2 0.2 1.3
2020 -0.4 -1.3 -3.9 -2.2 0.3 0.3 0.1 2 0.6 -0.7 0.2 0.6 -4.4
2021 0.1 1.2 0.4 NA NA NA NA NA NA NA NA NA 1.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2003-05-28  20.0 SPY    95.7  0.0028   0.0347   0.0423    0.149  -0.115    -0.322       NA <NA>     NA    NA       NA
2 2003-05-29  20.0 SPY    95.4 -0.0026   0.0299   0.0395    0.131  -0.111    -0.319       NA <NA>     NA    NA       NA
3 2003-05-30  20.0 SPY    97.0  0.016    0.0361   0.0548    0.142  -0.0939   -0.298       NA <NA>     NA    NA       NA
4 2003-06-02  20.1 SPY    97.4  0.0041   0.0383   0.0593    0.158  -0.0921   -0.306       NA <NA>     NA    NA       NA
5 2003-06-03  20.1 SPY    97.8  0.0041   0.0246   0.0487    0.181  -0.0634   -0.291       NA <NA>     NA    NA       NA
6 2003-06-04  20.2 SPY    99.2  0.0144   0.0365   0.0659    0.188  -0.0523   -0.281       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart